Job Application - Quantitative Analyst

Interview Sample Question

The sample question for Interview a job in Binary options.

Question I

I use daily OHLCV USDJPY data (from 2014-01-01 to 2017-01-20) and application of some models to forecast the highest and lowest price :

• Auto Arima models
• Exponential Time Series
• Univariate Garch models
• Exponential Weighted Moving Average
• Monte Carlo Markov Chain
• Bayesian Time Series
• Midas

For the staking model, I simply forecast the highest and lowest price, and then :

• Kelly criterion and using highest or lowest price for closing transaction, otherwise using closing price if the forecasted lowest/highest price is not occur.
• Placed $100 an each of the forecasted variance value and do the settlement based on the real variance value.

Kindly refer to Binary.com Interview Q1 (Alternate link)

Blooper

Initially, I wrote a shiny app (as showing in below gif file) but it is heavily budden for loading. Kindly browse over Q1 ShinyApp.

error…

Here I wrote another extention page for Q1 which is analyse the multiple currencies and also models from minutes to daily. You are feel free to browse over Binary.com Interview Q1E.

Besides, I wrote a shinyApp which display the real-time price through API. Kindly refer to Q1App.

Question II

For question 2, I simply write an app (while the leave rate doesn’t function), kindly use Queue models.

Question III

Reference

Question I

1. Stock Market Forecasting Using LASSO Linear Regression Model by Sanjiban Sekhar Roy, Dishant Mital, Avik Basu, Ajith Abraham (2015)
2. Using LASSO from lars (or glmnet) package in R for variable selection by Juancentro (2014)
3. Difference between glmnet() and cv.glmnet() in R? by Amrita Sawant (2015)
4. Testing Kelly Criterion and Optimal f in R by Roy Wei (2012)
5. Portfolio Optimization and Monte Carlo Simulation by Magnus Erik Hvass Pedersen (2014)
6. Glmnet Vignette by Trevor Hastie and Junyang Qian (2014)
7. lasso怎么用算法实现？ by shuaihuang (2010)
8. The Sparse Matrix and {glmnet} by Manuel Amunategui (2014)
9. Regularization and Variable Selection via the Elastic Net by Hui Zou and Trevor Hastie
10. LASSO, Ridge, and Elastic Net
11. 热门数据挖掘模型应用入门（一）: LASSO回归 by 侯澄钧 (2016)
12. The Lasso Page
13. Call_Valuation.R by Mariano (2016)
14. Lecture 6 – Stochastic Processes and Monte Carlo (http://zorro-trader.com/manual)
15. The caret Package by Max Kuhn (2017)
16. Time Series Cross Validation
17. Character-Code.com
18. Size Matters – Kelly Optimization by Roy Wei (2012)
19. Time Series Cross Validation by William Chiu (2015)
20. Forecasting Volatility by Stephen Figlewski (2004)
21. Successful Algorithmic Trading by Michael Halls Moore (2015)
22. Financial Risk Modelling and Portfolio Optimization with R (2nd Edt) by Bernhard Praff (2016)
23. Analyzing Financial Data and Implementing Financial Models using R by Clifford S.Ang (2015)

Question II

1. Queueing model 534 in Excel
2. Queueing model macro in Excel
3. Queueing up in R, (continued)
4. Waiting in line, waiting on R
5. Simulating a Queue in R
6. What is the queue data structure in R?
7. Implementing a Queue as a Reference Class
8. queue implementation?
9. Queueing Theory Calculator
10. The Pith of Performance by Neil Gunther (2010)
11. Computationally Efficient Simulation of Queues - The R Package queuecomputer
12. Waiting-Line Models
13. Queues with Breakdowns and Customer Discouragement

Question III

1. Data APIs/feeds available as packages in R